Title:Structural Vector Autoregressions with Nonnormal Residuals
Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2010Type of Publication:ArticleAbstract:In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions ...
Title:Structural Vector Autoregressions with Markov Switching
Author(s):LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, KatarzynaDate:2010Type of Publication:ArticleAbstract:It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model ...
Title:Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
Author(s):ARGENTESI, Elena; LUETKEPOHL, Helmut; MOTTA, MassimoDate:2010Type of Publication:ArticleAbstract:This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, ...
Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2009Type of Publication:ArticleAbstract:P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration ...
Title:Unit Root and Cointegration Testing: Guest Editors' Introduction
Author(s):LUETKEPOHL, Helmut; RODRIGUES, Paulo M. M.Date:2008Type of Publication:ArticleAbstract:By pointing out the spurious regression problem, Granger and Newbold (1974) have shown the importance of stochastic trends in time series data in the context of linear regression models. At the time, removing trends by ...
Title:General-to-Specific or Specific-to-General Modelling? An Opinion on Current Econometric Terminology
Author(s):LUETKEPOHL, HelmutDate:2007Type of Publication:ArticleAbstract:It is argued that what is the dominant approach to analyzing systems of cointegrated variables is not well described as general-to-specific (gets) modelling. The gets approach was developed during the last decades predominantly ...
Title:A Small Monetary System for the Euro Area Based on German Data
Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2006Type of Publication:ArticleAbstract:Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic ...
Title:Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing
Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, CarstenDate:2006Type of Publication:ArticleAbstract:In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period ...
Title:Residual Autocorrelation Testing for Vector Error Correction Models
Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2006Type of Publication:ArticleAbstract:In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case ...
Title:A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2)
Variables
Author(s):JOHANSEN, Soren; LUETKEPOHL, HelmutDate:2005Type of Publication:ArticleAbstract:We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio ...